A note on the distribution of the least squares estimator of a random walk with a linear trend
type: Item
instance of: scholarly article
title: A note on the distribution of the least squares estimator of a random walk with a linear trend
zbMATH Open document ID: 0761.62165
DOI: 10.1016/0165-1765(92)90046-2
author: Francisco J. Goerlich
published in: Economics Letters
publication date: 1993-04-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 148809
zbMATH Keywords: distribution of least squares estimator
zbMATH Keywords: asymptotic normality
zbMATH Keywords: Dickey- Fuller \(t\)-statistic
zbMATH Keywords: data generating process
zbMATH Keywords: random walk
zbMATH Keywords: linear trend
zbMATH Keywords: small samples
zbMATH Keywords: slope coefficient
zbMATH Keywords: drift
zbMATH Keywords: Dickey-Fuller distribution
MaRDI profile type: Publication
full work available at URL: 0165-1765(92)90046-2
OpenAlex ID: W2004462916
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Q4124141
cites work: Inference in Linear Time Series Models with some Unit Roots
cites work: Asymptotic Normality, When Regressors Have a Unit Root
description: scientific article; zbMATH DE number 148809